RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
Equation (B2)
∫
t
t
+
τ
π
s
d
s
=
∫
t
t
+
τ
ρ
0
+
ρ
′
x
s
d
s
=
∫
t
t
+
τ
ρ
0
+
ρ
′
(
e
−
K
(
s
−
t
)
x
t
+
(
I
−
e
−
K
(
s
−
t
)
)
μ
+
e
−
K
(
s
−
t
)
∫
t
s
e
K
(
u
−
t
)
Σ
d
B
u
)
d
s
=
∫
t
t
+
τ
ρ
0
+
ρ
′
(
e
−
K
(
s
−
t
)
x
t
+
(
I
−
e
−
K
(
s
−
t
)
)
μ
)
d
s
+
∫
t
t
+
τ
ρ
′
(
∫
u
t
+
τ
e
−
K
(
s
−
t
)
d
s
)
e
K
(
u
−
t
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Σ
d
B
u
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